A note on loss aversion and futures hedging

被引：15
|
作者：
Lien, D [1 ]
机构：
[1] Univ Kansas, Dept Econ, Lawrence, KS 66045 USA
来源：
JOURNAL OF FUTURES MARKETS | 2001年 / 21卷 / 07期
关键词：
D O I：
10.1002/fut.1704.abs
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This note examines the effect of loss aversion on the futures trading behavior of a short hedger. Using a modified constant-absolute-risk-aversion utility function, I Show that loss aversion has no effect in an unbiased futures market. It has different, predictable impacts when the futures market is in backwardation or contango. (C) 2001 John Wiley & Sons, Inc.
引用
收藏
页码：681 / 692
页数：12
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